ON ESTIMATION OF LONG‐MEMORY TIME SERIES MODELS

Abstract

Summary This paper discusses estimation associated with the long‐memory time series models proposed by Granger & Joyeux (1980) and Hosking (1981). We consider the maximum likelihood estimator and the least squares estimator. Certain regularity conditions introduced by several authors to develop the asymptotic theory of these estimators do not hold in this model. However we can show that these estimators are strongly consistent, and we derive the limiting distribution and the rate of convergence.